Corporate Security Issues and Asset Returns
36 Pages Posted: 1 Oct 2001
Date Written: September 23, 2001
Abstract
Aggregate public corporate security issues forecast excess returns on stocks, government bonds and corporate bonds. A high ratio of aggregate short term to aggregate long term debt issues and a low ratio of aggregate equity to aggregate debt issues forecasts high excess returns at frequencies ranging from one month to six months. These variables have predictive power above and beyond variables previously used to predict asset returns. Our results are consistent with several (rational) equilibrium models that relate security issue choice with macroeconomic conditions.
Keywords: Asset returns, Security issues, Business Cycles
JEL Classification: G1, G12, G32
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
The Equity Share in New Issues and Aggregate Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
The Equity Share in New Issues and Aggregate Stock Returns
By Malcolm P. Baker and Jeffrey Wurgler
-
The Maturity of Debt Issues and Predictable Variation in Bond Returns
By Malcolm P. Baker, Robin M. Greenwood, ...
-
The Maturity of Debt Issues and Predictable Variation in Bond Returns
By Malcolm P. Baker, Robin M. Greenwood, ...
-
The Corporate Cost of Capital and the Return on Corporate Investment
By Eugene F. Fama and Kenneth R. French
-
The Aggregate Change in Shares and the Level of Stock Prices
-
By Ajay Khorana, Michael J. Cooper, ...